4709 - Columbia University Department of IEOR Data Analysis...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Columbia University Department of IEOR Data Analysis for Financial Engineers E4709, Fall 2010 R 2:40pm-5:10pm, 303 Mudd Columbia Course Work Web Page Prof. Steven Kou 312 Mudd Building sk75@columbia.edu Tel: 212-854-4334 O ce Hours: R 10:30pm - 12:30pm TA: TBA e-mail: TBA TA O ce Hours: TBA Required Textbook :R .T say , Analysis of Financial Time Series , Wiley, 3rd ed., 2010. Prerequisites Intro to Statistics for Financial Engineering (E4702). Approximate Schedule Week Tropics 1. 9/9 Rev. and Splus 2. 9/10 Black-Litterman Model 3. 9/16 Stock Returns 4. 9/23 AR Model 5. 9/30 MA and ARMA Models 6. 10/7 Unit Root Tests 7. 10/14 Midterm 8. 10/21 ARCH 9. 10/28 GARCH 10. 11/4 Bayesian MCMC 11. 11/11 VaR 12. 11/18 Regression 13. 12/2 Time Series Regression 14. 12/9 Final Exam Course Requirements and Grades The f nal grade will be generated from three components:
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 10/16/2010 for the course IEOR 4709 taught by Professor Stevenkou during the Fall '10 term at Columbia.

Page1 / 2

4709 - Columbia University Department of IEOR Data Analysis...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online